How to create two objects that screw into one another
Perhaps a more robust approach is to 'model the gap'.

i.e. keep the inside and outside profiles as one object, (possibly reserving an 
 AltD instance of the combined  profile for convenient editing, ) then assign the screw modifier, then separate the surfaces. 



(Which you can do by CtrlL select linked, and P > separate selection ). You can flip the normals of the female component, and embed it wherever it is needed, later on.